Approximating the Asset Pricing Kernel
用低阶正交多项式近似真实资产定价核，检验简单消费资产定价模型。仅基于消费增长的核整体拟合不被拒绝但定价误差大；加入两季度消费增长和技术冲击后拟合显著改善，能消除小公司效应。
This article tests a simple consumption-based asset pricing model by approximating the true asset pricing kernel using low-order orthonormal polynomials based on the model's state variables. Approximated kernels based solely on next period's consumption growth are not rejected by overall measures of model fit but they produce statistically and economically large pricing errors. Approximated kernels based on two quarters of future consumption growth and technology shocks have substantially improved overall fit. In particular, the best of these kernels are capable of eliminating the small firm effect. Copyright 1997 by American Finance Association.